News
Oral examsWritten on 05.02.26 by Benedikt Flierl Dear students, The oral exams are scheduled for March 3 and March 24. Please contact Ms. Kilz at Building E2 4, Room 2.06, at your earliest convenience to book a time slot for the exam. It is also necessary to register in LSF at least one week before the respective exam date. Please note that… Read more Dear students, The oral exams are scheduled for March 3 and March 24. Please contact Ms. Kilz at Building E2 4, Room 2.06, at your earliest convenience to book a time slot for the exam. It is also necessary to register in LSF at least one week before the respective exam date. Please note that registration for the exam requires successful participation in the tutorials, i.e., achieving 50% of the total points on the exercise sheets. Withdrawals from the exam must be made in LSF no later than one week before the respective exam date. Otherwise, failure to attend (except in the case of certified illness) will be counted as a failed attempt. Best regards and good luck with your exam preparation, |
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Written on 11.01.26 by Benedikt Flierl Dear students, The tutorial scheduled for Monday, January 12, has been rescheduled to Tuesday, January 13, from 8:30-10am and takes places in Seminarraum 1 (building E2 5, room U.37). Best regards, |
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Written on 11.01.26 by Christian Bender Dear students, Due to a severe weather warning, the tutorial on Monday, January 12, will either be taught online or postponed to a later date. More information will be available on Monday morning. Best regards, Christian Bender |
Room change for the lecture on December 3Written on 17.11.25 by Benedikt Flierl Dear students, On Wednesday, December 3, the lecture will exceptionally take place in HS III (building E2 5, room E.2). Best regards, |
Contents
This lecture course, a sequel to Stochastics I, introduces the theory of stochastic processes in both discrete and continuous time.
Topics include:
- Conditioning on σ-algebras
- Basic concepts of stochastic processes
- Kolmogorov’s extension theorem
- Poisson process
- Brownian motion
- Martingales
- Markov processes
Lectures
- Wednesdays, 8:30-10am, Seminarraum 6 (building E2 4, room 217)
- Fridays, 10:15-11:45am, Seminarraum 6 (building E2 4, room 217)
Tutorials
Mondays, 8:30-10am, Seminarraum 1 (building E2 5, room U.37)
The first tutorial will take place on Monday, October 27.
Assignment sheets and further information will be provided on the Information/Materials page on CMS.
References
- Karatzas & Shreve, Brownian Motion and Stochastic Calculus, Springer
- Mörters & Peres: Brownian Motion, Cambridge University Press
- Williams, Probability with Martingales, Cambridge University Press
Organization
Benedikt Flierl (flierl@math.uni-sb.de)